Can I replace it with the internal rentability rate? I only have the financial statements and some market data, but I can't find the expected returns anywhere.
The goal is to calculate the probability ...

From point 38 on P.17 the default probability can be implied from market implied CDS spreads. "Macro Surface" method is mentioned, but I cannot get any clue of what it is? Where do I get the acedemic ...

I'm studying defaultable claims and asked myself how to price a digital payoff.
Consider an option paying $1$ at maturity in case of non-default before maturity and if a given underlying process $S$ ...

I have the following scenario:
Let $X_i$ denote the event where some institution $i$ 'defaults' (don't worry about the exact definition of a default here, it is not relevant to the question at hand). ...

I am looking for some paper or similar which deal with this topic: hedging bankruptcy on firm's debt using Put options written on that firm's equity price.
This should be based on the assumption that ...

Rating systems, as defined by the Basel II Accord, can be classified into two broad types - through-the-cycle (TTC) or point-in-time (PIT) - and the probability of default predicted by such a system ...